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arXiv · 1608.03083

Rough differential equations containing path-dependent bounded variation terms

Shigeki Aida
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Abstract

We consider rough differential equations whose coefficients contain path-dependent bounded variation terms and prove the existence and a priori estimate of solutions. These equations include classical path-dependent SDEs containing running maximum processes and normal reflection terms. We apply these results to determine the topological support of the solution processes.

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Shigeki Aida. 2016-08-10. Rough differential equations containing path-dependent bounded variation terms. https://doi.org/10.1007/s10959-024-01319-3

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